Suppose there is one risky asset and one risk free asset. Derive the optimal weights for...
Suppose there is one risky asset and one risk free asset. Derive the optimal weights for a mean-variance optimizer to hold of each.
Homework Answers
OPtimal Weight = The weight should be made in each Asset
Expected Risk = Risk of Risky Asset * Weight of that Risky Asset
Weight in Risky Asset = Max risk that can beared / Risk of Risky Asset
Weight in Risk Free Asset = 1 - Weight in Risky Asset.
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Suppose there is one risky asset and one risk free asset. Derive
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